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The Thermodynamics of Portfolios

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  • Edward W. Piotrowski

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  • Jan Sladkowski

    ()

Abstract

We propose a new method of valuation of portfolios and their respective investing strategies. To this end we define a canonical ensemble of portfolios that allows to use the formalism of thermodynamics. (final version published in Acta Phys.Pol.B,32(2001)597-604)

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File URL: http://alpha.uwb.edu.pl/ep/RePEc/sla/eakjkl/2.pdf
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Paper provided by University of Bialtystok, Department of Theoretical Physics in its series Departmental Working Papers with number 2.

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Handle: RePEc:sla:eakjkl:2

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Cited by:
  1. Edward W. Piotrowski & Jan Sladkowski, . "Arbitrage Risk Induced by Transaction Costs," Departmental Working Papers 17, University of Bialtystok, Department of Theoretical Physics.
  2. Piotrowski, Edward W. & Sładkowski, Jan, 2005. "Quantum diffusion of prices and profits," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(1), pages 185-195.
  3. Edward W. Piotrowski & Jan Sladkowski, . "The Merchandising Mathematician Model. Stochastic Demand and Supply," Departmental Working Papers 1, University of Bialtystok, Department of Theoretical Physics.
  4. Szczypińska, Anna & Piotrowski, Edward W., 2009. "Inconsistency of the judgment matrix in the AHP method and the decision maker’s knowledge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 907-915.
  5. Edward W. Piotrowski & Jan Sladkowski, . "An Invitation to Quantum Game Theory," Departmental Working Papers 15, University of Bialtystok, Department of Theoretical Physics.
  6. Edward W. Piotrowski, . "Problems with the Astumian's Paradox (in Polish)," Departmental Working Papers 121pl, University of Bialtystok, Department of Theoretical Physics.
  7. Edward W. Piotrowski & Jan Sladkowski, . "Quantum diffusion of prices and profits," Departmental Working Papers 12, University of Bialtystok, Department of Theoretical Physics.
  8. Josip Stepanic, 2004. "Social Equivalent of Free Energy," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 2(1), pages 53-60.

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